As Iouri Belov said, in modern Russian ЛОШАДЬ is the main word for horse. The noun is feminine, refers to any horse (especially the one whose gender is unknown) and serves as a name for species. The name for the whole family or related species is also formed from "лошадь" (Лошадиные). Apparently, the word was borrowed, though it happened very long ago (the vast majority of the native speakers wouldn't even suspect that the word is not of Slavic origin).
КОНЬ is the original Russian word for horse (the roots is common for Slavic languages). It is not obsolete but mostly used in poetical or "knight"-related contexts, typically for male horse. But it is not a normal or "exact" word for a male horse in modern Russian ("жеребец" is)
КОНЬ is the name for the chess piece "knight". Used in some set expressions and idioms.Of course, the idiomatic "ход конём" (meaning a smart move, a good unanticipated decision) comes from chess and only ever uses "конь".
КОНЬ is the base for some important derivatives:
- конная статуя = equestrian statue
- конный спорт = horse riding, equestrian sports
- конюшня = stable
- конюх = stableman, groom